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Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs
13 references·0 citing·31 second hop
Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs (2018)Kyle--Back Equilibrium Models and Linear …Insider trading equilibrium in a market with memory (2012)Insider trading equilibrium i…Equilibrium model with default and dynamic insider information (2012)Equilibrium model with defaul…Strategic Insider Trading Equilibrium: A Filter Theory Approach (2010)Strategic Insider Trading Equ…Stock market insider trading in continuous time with imperfect dynamic information (2010)Stock market insider trading …Dynamic Markov bridges motivated by models of insider trading (2010)Dynamic Markov bridges motiva…Information in Securities Markets: Kyle Meets Glosten and Milgrom (2004)Information in Securities Mar…Continuous auctions and insider trading: uniqueness and risk aversion (2003)Continuous auctions and insid…Long-lived information and intraday patterns (1998)Long-lived information and in…Strategic Trading When Agents Forecast the Forecasts of Others (1996)Strategic Trading When Agents…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Continuous Martingales and Brownian Motion (1999)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Brownian Motion and Stochastic Calculus (2007)Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling (2007)Activism, Strategic Trading, and Liquidity (2018)Martingales and arbitrage in multiperiod securities markets (1979)Insider Trading With a Random Deadline (2010)Market Liquidity—Theory and Empirical Evidence (2013)Fast and slow informed trading (2019)A Theory of Intraday Patterns: Volume and Price Variability (1988)Differences of Opinion Make a Horse Race (1993)Differential Information and Dynamic Behavior of Stock Trading Volume (1995)Stock price reaction to public and private information (2006)Stochastic Integration and Differential Equations (2005)Generalized Gaussian bridges (2014)Financial equilibrium with asymmetric information and random horizon (2016)Noise Trader Risk in Financial Markets (1990)Asymmetric Information and Options (1993)Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Asset Pricing under Asymmetric Information (2001)High-Frequency Trading and Market Performance (2015)Insider Trading, Stochastic Liquidity, and Equilibrium Prices (2016)Back-Running: Seeking and Hiding Fundamental Information in Order Flows* (2019)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1996Strategic Trading When Agents Forecast the Forecasts of Others507 cited
  • 1992Insider Trading in Continuous Time468 cited
  • 2004Information in Securities Markets: Kyle Meets Glosten and Milgrom208 cited
  • 1998Long-lived information and intraday patterns161 cited
  • 2003Continuous auctions and insider trading: uniqueness and risk aversion67 cited
  • 2010Dynamic Markov bridges motivated by models of insider trading39 cited
  • 2012Equilibrium model with default and dynamic insider information28 cited
  • 2010Stock market insider trading in continuous time with imperfect dynamic information26 cited
  • 2012Insider trading equilibrium in a market with memory24 cited
  • 2010Strategic Insider Trading Equilibrium: A Filter Theory Approach23 cited

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